I had this quest a while back when making smoked almonds - there is a thread about it somewhere here.

I found the best solution for me was to soak some whole flax seeds in little bit of warm water until it gets all slimy and then use the slimy stuff (mucilage) as the egg white. It worked awesomely because it didn't inject any flax flavour and provided that very thin sticky coating that became totally dry (and not sticky) when cooked.

Agave works well but you end with a sticky nut as opposed to the 'egg-white' method which keeps the nuts dry on the outside but the flavours are adhered to the nut and don't slip off...kinda sealed in: both work but the end results are quite different.